Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 5 7 19 595
An Economic Evaluation of Empirical Exchange Rate Models 1 2 4 413 1 2 7 773
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 303 0 0 10 1,091
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 1 1 12 142 3 4 29 545
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 1 1 10 1,760
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 0 312 0 0 1 1,303
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 0 0 0 205
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 0 0 0 227
Asset prices, exchange rates and the current account 0 0 0 130 1 1 1 317
Asset prices, exchange rates and the current account 0 0 0 378 0 0 3 965
Business Cycles and Currency Returns 0 0 1 23 0 3 15 65
Business Cycles and Currency Returns 0 0 3 46 2 5 22 149
Carry Trades and Global FX Volatility 0 0 0 419 0 0 8 986
Carry Trades and Global Foreign Exchange Volatility 0 0 4 247 1 3 26 542
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 55 0 0 4 205
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 0 1 3 204
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 0 1 6 293
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 0 0 0 340
Currency Momentum Strategies 0 0 8 90 1 5 31 393
Currency Momentum Strategies 1 2 9 271 2 10 69 1,429
Currency Momentum Strategies 1 1 4 140 1 1 15 491
Currency Premia and Global Imbalances 1 2 7 63 2 5 32 163
Currency Premia and Global Imbalances 0 0 4 103 2 5 39 293
Currency Value 0 0 2 106 0 2 6 165
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 97 0 0 1 253
European Capital Flows and Regional Risk 0 0 0 0 0 0 0 378
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 1 1 173 0 2 7 514
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 0 0 1 618
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 174 0 0 2 385
Exchange Rates and Sovereign Risk 0 0 6 9 1 3 19 28
Exchange rate forecasting, order flow and macroeconomic information 0 0 1 298 0 0 3 637
Federal Funds Rate Prediction 0 0 1 206 0 0 3 1,915
Federal Funds Rate Prediction 0 0 0 482 0 1 2 6,425
Federal funds rate prediction 0 0 1 329 0 0 3 1,539
Foreign Exchange Intervention: A New Database 0 3 6 30 3 10 34 103
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 0 148 0 0 2 334
Foreign Exchange Volume 0 1 5 8 3 4 17 30
Foreign currency lending 0 0 1 43 0 0 13 257
Foreign exchange intervention: A new database 0 0 3 45 0 3 11 52
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 0 0 0 591
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 631 0 0 10 1,505
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 1 2 71 0 1 5 295
How well do monetary fundamentals forecast exchange rates? 0 0 0 812 0 1 7 2,490
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 133 1 2 9 473
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 1 364 0 0 2 516
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 0 3 395
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 210 0 0 0 590
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 1 1 5 626
Monetary policy and learning in an open economy 0 0 0 148 1 1 7 437
Monetary policy and learning in an open economy 0 0 0 18 0 0 7 135
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 173 0 0 1 380
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 3 285 5 11 51 861
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 0 0 1 409
Non-Standard Errors 0 5 33 33 11 55 204 204
Non-Standard Errors 1 2 22 22 6 23 144 144
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 1 202 0 0 2 685
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 0 0 0 336
Nonlinear Exchange Rate Models: A Selective Overview 1 1 2 345 1 1 4 520
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 2 4 6 948 2 5 8 2,013
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 303 0 0 1 688
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 0 0 2 455
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 2 3 911 3 11 29 2,286
Properties of Foreign Exchange Risk Premia 0 0 0 150 0 0 9 414
Properties of Foreign Exchange Risk Premiums 0 0 2 79 1 3 7 253
Properties of Foreign Exchange Risk Premiums 0 0 0 74 0 0 2 158
Purchasing Power Parity and the Real Exchange Rate 1 2 3 1,192 1 3 9 3,764
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 0 0 2 845
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 0 5 31 661
Risky Bank Guarantees 0 0 1 14 0 0 3 62
Risky bank guarantees 0 0 2 20 2 2 10 42
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 0 481
Spot and Forward Volatility in Foreign Exchange 0 0 1 573 2 5 25 1,825
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 2 3 386 2 13 43 1,278
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 1 3 562 3 6 14 3,168
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 124 0 0 3 424
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 1 107 0 0 2 456
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 1 1 521 0 4 12 1,299
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 0 0 2 796
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 1 218 0 0 3 601
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 41 0 0 2 165
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 109 0 2 4 205
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 245 0 0 1 613
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 1 58 4 5 20 228
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 62 0 0 1 218
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 193 0 0 1 293
The cost of foreign-currency lending 0 0 0 0 1 1 6 6
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 1 2 3 525 1 3 7 2,123
The efficient market hypothesis and identification in structural VARs 0 0 0 253 0 0 2 884
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 382 1 1 4 813
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 1 222 0 0 1 747
The scapegoat theory of exchange rates: the first tests 0 0 0 89 0 0 4 425
The scapegoat theory of exchange rates: the first tests 0 0 1 32 0 1 4 149
Volatility Risk Premia and Exchange Rate Predictability 1 2 2 61 1 2 7 170
What Do Stock Markets Tell Us About Exchange Rates? 0 0 0 41 0 0 2 111
What Drives International Portfolio Flows? 0 0 4 101 0 1 13 258
What do stock markets tell us about exchange rates? 0 0 0 85 0 1 5 159
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 0 0 575
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 4 128 0 0 11 239
When is foreign exchange intervention effective? Evidence from 33 countries 0 0 3 92 1 3 16 135
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 1 89 0 0 5 267
Total Working Papers 12 38 196 19,874 80 252 1,269 69,311


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 89 0 0 3 300
A cross-country financial accelerator: Evidence from North America and Europe 0 0 1 96 0 1 7 254
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 0 87 0 0 2 308
An Economic Evaluation of Empirical Exchange Rate Models 0 0 7 119 3 5 17 279
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 1 186 0 0 2 521
Arbitrage in the foreign exchange market: Turning on the microscope 2 4 42 329 8 15 157 1,220
Asset prices, exchange rates and the current account 1 1 4 115 1 3 13 370
Business cycles and currency returns 0 0 8 27 2 2 27 100
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 0 0 3 156
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 1 3 11 1,388
Carry Trades and Global Foreign Exchange Volatility 0 0 10 201 0 1 20 592
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 0 0 270
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 0 1 57
Currency Premia and Global Imbalances 0 3 14 75 2 11 71 293
Currency Value 1 3 9 65 1 7 26 207
Currency momentum strategies 1 3 37 365 4 14 108 1,171
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 0 179 0 0 3 438
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 1 119 0 0 4 587
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 2 122 0 0 2 276
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 0 0 0 0 1
European Capital Flows and Regional Risk 0 0 0 80 0 0 2 313
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 208 0 1 8 527
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 32 0 1 5 175
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 1 49 0 0 1 167
Exchange rate forecasting, order flow and macroeconomic information 1 4 13 298 1 5 29 859
Exchange rates and fundamentals: evidence on the economic value of predictability 0 1 4 222 0 1 20 579
Federal Funds Rate Prediction 0 0 0 0 0 0 1 830
Foreign exchange risk and the predictability of carry trade returns 0 0 0 46 0 0 6 169
Global liquidity risk in the foreign exchange market 0 0 6 77 8 13 36 347
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 2 332 0 1 7 1,007
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 1 3 137 0 2 12 486
How well do monetary fundamentals forecast exchange rates? 1 1 5 706 1 1 10 1,934
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 15 1 2 7 125
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 1 286 0 1 3 1,076
Mean reversion in stock index futures markets: A nonlinear analysis 0 1 2 4 0 1 3 30
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 231 0 0 2 711
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 0 0 0 1 4
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 157 0 0 1 541
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 1 1 44 1 2 3 151
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 1 2 8 512 3 4 14 1,114
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 1 2 10
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 0 5
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 0 0 1 287
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 0 0 3 123
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 4 12 44 748
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 3 246 5 6 27 658
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 2 73 0 0 7 252
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 0 0 1,049 4 9 47 2,608
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 141 0 1 2 494
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 1 177 0 0 2 794
Properties of foreign exchange risk premiums 0 0 2 81 1 4 10 269
Purchasing Power Parity and the Real Exchange Rate 1 3 13 1,954 1 7 51 4,633
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 1 289 0 0 2 763
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 111 0 0 3 272
Real exchange rate behavior in the Middle East: a re-examination 0 0 1 61 0 0 1 247
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 1 1 149 0 1 2 391
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 3 116 0 0 4 348
Risky bank guarantees 0 0 5 14 0 0 13 61
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 2 397
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 0 1 0 0 1 3
Special issue on advances in international money, macro and finance 0 0 0 44 0 0 0 137
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 0 0 0 2 3
Spot and forward volatility in foreign exchange 1 2 5 138 2 5 16 495
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 10 0 2 11 109
Systematic sampling and real exchange rates 0 0 0 24 0 1 2 87
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 65 0 0 5 252
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 0 2 2 9 15
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 0 0 3 192
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 2 4 5 105 2 6 14 341
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 157 2 3 35 501
The behavior of US public debt: a nonlinear perspective 0 1 4 126 0 1 5 359
The behavior of real exchange rates during the post-Bretton Woods period 1 2 11 397 5 11 38 1,074
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 0 8 0 1 3 44
The cost of foreign-currency lending 0 2 3 3 1 4 7 7
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 1 1 5 281 1 2 8 1,103
The economic value of predicting bond risk premia 0 2 9 31 0 2 15 107
The efficient market hypothesis and identification in structural VARs 0 0 0 162 0 0 0 887
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 2 6 197 2 4 13 686
The market for lemmings: The herding behavior of pension funds 0 0 0 27 0 0 6 110
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 1 329 1 1 7 904
The scapegoat theory of exchange rates: the first tests 1 1 6 84 3 6 18 319
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 2 8 0 0 5 24
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 6 0 0 1 25
Timing exchange rates using order flow: The case of the Loonie 0 0 0 35 0 0 2 143
Toward a new paradigm in open economy modeling: where do we stand? 0 0 0 24 0 0 0 84
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 1 1 3 379 1 1 14 741
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 2 1 1 6 12
Volatility risk premia and exchange rate predictability 1 5 15 102 2 8 39 343
What Do Stock Markets Tell Us about Exchange Rates? 1 1 2 28 1 3 12 114
What drives international portfolio flows? 0 2 5 62 2 4 21 178
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 0 0 0 173
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 1 1 17 98 5 12 77 430
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 3 53 0 0 7 143
Total Journal Articles 19 56 319 13,301 85 218 1,273 43,438


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 4 10 49 622
Total Books 0 0 0 0 4 10 49 622


Statistics updated 2022-09-05